Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0500 |
| Annualized Std Dev | 0.2245 |
| Annualized Sharpe (Rf=0%) | 0.2227 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3487.0000 |
| NAs | 1.0000 |
| Minimum | -0.1240 |
| Quartile 1 | -0.0053 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1289 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.3396 |
| Kurtosis | 12.6196 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0117 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6108 |
| Historical VaR (95%) | -0.0205 |
| Historical ES (95%) | -0.0350 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0327 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2013-10-24 | -0.6108 | 1506 | 339 | 1167 |
| 2020-02-20 | 2020-03-23 | 2020-10-12 | -0.3572 | 164 | 23 | 141 |
| 2018-01-29 | 2018-12-24 | 2019-05-03 | -0.1824 | 318 | 229 | 89 |
| 2014-06-23 | 2016-01-21 | 2016-06-08 | -0.1762 | 495 | 399 | 96 |
| 2007-07-16 | 2007-08-16 | 2007-10-09 | -0.1363 | 61 | 24 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.4 | 1.1 | 1.2 | 1.7 | 1.1 | -2.9 | 0.1 | -1 | 1.6 |
| 2008 | 2.3 | -1.6 | 3.6 | -0.8 | 0.6 | -0.8 | -0.9 | 0.1 | 0 | 2.8 | -7.8 | 0.8 | -2 |
| 2009 | -2.1 | 0.9 | 1.3 | 1.7 | 2.5 | 0.8 | 0.9 | -1.8 | -2.7 | -1.7 | 1.7 | -0.5 | 0.6 |
| 2010 | 1.9 | 0.7 | 1.6 | -1.6 | -1.1 | 0.7 | 0.1 | 3.2 | 0.5 | 0.1 | 2 | 0 | 8.3 |
| 2011 | 2.3 | -1.6 | 0.8 | 0.3 | -2.2 | 1.2 | -1.1 | -1.8 | -2.7 | -2.7 | -0.7 | -0.4 | -8.4 |
| 2012 | 2 | 1.2 | 0.8 | 0.5 | -1.9 | 2.3 | -0.2 | 0.1 | 0.6 | 0.7 | -0.5 | 1.4 | 7.2 |
| 2013 | 0.8 | -0.3 | -1 | -0.8 | -1.4 | 0.7 | 1 | -1.2 | 0.9 | -0.4 | 0.4 | 0.3 | -1 |
| 2014 | -1.2 | 0.5 | 1 | 0 | 0.4 | 0.7 | -0.7 | 0.1 | -1.3 | 0.7 | -0.7 | -0.6 | -1.2 |
| 2015 | -1.8 | 0 | 0.6 | 0 | -0.1 | -0.1 | 0.5 | -3.1 | -0.3 | 0.5 | 0.4 | -1 | -4.4 |
| 2016 | 0.4 | 1.9 | -0.4 | 0.3 | 0.3 | 0.1 | -0.6 | -0.2 | 0.5 | -1 | -0.5 | -0.2 | 0.7 |
| 2017 | -0.2 | 1.2 | 0.4 | -0.1 | 0.7 | 0.3 | 0.2 | 0.2 | 0.5 | -0.3 | -0.7 | 0.1 | 2.4 |
| 2018 | 0.1 | -1.1 | 0.6 | 0 | 0.7 | 0.7 | -1.2 | -0.1 | 0 | 1.7 | 0.7 | 0.6 | 2.7 |
| 2019 | -0.4 | 0.4 | 0.6 | -0.9 | -0.1 | 0.2 | -0.4 | 0.6 | -1.2 | 0.4 | -0.6 | 0.1 | -1.1 |
| 2020 | -1.7 | -2 | -6 | -2.6 | 0.9 | 0.3 | -0.8 | 0.3 | 0.8 | -0.4 | 1.7 | -0.1 | -9.3 |
| 2021 | 1.7 | 1.9 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-14 24.8 SPY 151. -2.20e-3 -0.0028 0.0359 0.0494 0.150 0.372 0.424 GLD 66.3 -0.0026 -0.0289
2 2007-05-15 25.1 SPY 151. 3.00e-4 -0.00120 0.0264 0.0409 0.165 0.363 0.396 GLD 66.5 0.0039 -0.0197
3 2007-05-16 25.1 SPY 152. 6.80e-3 0.00290 0.0307 0.0411 0.171 0.378 0.375 GLD 65.6 -0.0141 -0.0274
4 2007-05-17 24.8 SPY 151. -2.00e-3 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
5 2007-05-18 25 SPY 153. 8.70e-3 0.0117 0.0366 0.0473 0.203 0.399 0.383 GLD 65.5 0.0071 -0.014
6 2007-05-21 25 SPY 153. -5.00e-4 0.0134 0.0264 0.0445 0.209 0.391 0.376 GLD 65.7 0.0023 -0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
